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- つねとき おいもり
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1 東京証券取引所グループ TOKYO STOCK EXCHANGE GROUP TSE WORKING PAPER 東証ワーキング ペーパー Vol. 01
2
3 t-otsuka@tse.or.jp CFA 1
4 subprime mortgage loan Bear Stearns Lehman Brothers 2009 algorithmic trading high frequency trading: HFT naked short selling M *1 1 intraday lending market *1 (2010) 2
5 *2 * *4 * * *3 (2009) * *5 (2010) 3
6 GHQ 1934 Securities and Exchange Act of 1934 downtick rule uptick rule minimum shortable price: MSP MSP MSP MSP 1 *6 tick tick uptick zero-plus tick 2 downtick zero-minus tick *6 4
7 1 1 1 MSP MSP MSP ( 時点 0) 初期状態 ( 時点 1) ( 時点 2) ( 時点 3) ( 時点 4) 売り価格買い売り価格買い売り価格買い売り価格買い売り価格買い : : : : : : : : : : MSP 102 MSP MSP 100 MSP : : : : : : : : : : ティック ステータスアップティックゼロ プラス ティックダウンティックゼロ マイナス ティック 空売り可能な最低価格 (MSP) * MSP a U.S. Securities and Exchange Commission: SEC SEC a-1 Nasdaq *7 National Association of Securities Dealers: NASD 3350 NMS national market system bid test bid *8 decimalization SEC *7 Financial Industry Regulatory Authority: FINRA * /16 1/100 5
8 SEC SEC SHO roundtable alternative uptick rule MSP % 2 MSP MSP ( 時点 0) 初期状態 ( 時点 1) ( 時点 2) ( 時点 3) ( 時点 4) 売り価格買い売り価格買い売り価格買い売り価格買い売り価格買い : : : : : : : : : : 103 MSP 103 MSP NBB 102 NBB MSP 100 MSP NBB 99 NBB 98 NBB : : : : : : : : : : ビッド ステータスアップビッドゼロ プラス ビッドダウンビッドゼロ マイナス ビッド 空売り可能な最低価格 (MSP) * NBB national best bid MSP 6
9 4 Diether, Lee and Werner (2009) 2005 New York Stock Exchange: NYSE 24% 31% overvalued Asquith, Pathak and Ritter (2005) Chang, Cheng and Yu (2007) underperform Ofek and Richardson (2003) dotcom bubble Battalio and Schultz (2006) long put short call Bris, Goetzmann and Zhu (2007) 47 ETF DR bear raids 7
10 Shkilko, Van Ness and Van Ness (2011) 1929 NYSE NYSE SEC Jones (2008) Macey, Mitchell and Netter (1989) market quality Alexander and Peterson (1999) Boehmer and Wu (2010) SEC SEC (2007) Diether, Lee and Werner (2009) Alexander and Peterson (2008) 2008 SEC Kolasinksi, Reed and Thornock (2010) SEC ,000 Boehmer, Jones and Zhang (2009)
11 2008 Emergency Economic Stabilization Act of 2008 Troubled Asset Relief Program: TARP Beber and Pagano (2011) single stock options Battalio and Schultz (2011) SEC Jain, Jain and McInish (2012) SHO 201 * 9 flash crash Alexander and Peterson (1999) 1 * 10 * :40 15:00 20 Dow Jones Industrial Average: DJIA 600 *10 Angel (1997) 9
12 5 5.1 order book FLEX Full * MSP MSP 発注部分約定時間優先維持変更部分約定全量約定 1 つの注文として取り扱う 発注部分約定時間優先破棄変更 2 つの注文として取り扱う 発注部分約定全量約定 *11 10
13 4 注文初期状態 注文最終状態 発注部分約定時間優先維持変更全量約定 取消 失効 時間優先破棄変更 * * CB ETF ETN REIT TOPIX * arrowhead *12 Diamond and Verrecchia (1987) private information 11
14 arrowhead arrowhead % 59.54% 95.15% 59.85% 45.45% 37.46% 97.14% 45.40% 98.48% 97.83% 98.20% 97.94% 434,441, % 59.68% 45.45% 23.92% 59.54% 37.46% 59.17% 95.15% 97.14% 13.65% 59.85% 45.40% * TOPIX * * 13 2 *
15 ,663, ,039,276 27,896, ,598, % 26.29% 6.98% % 2,878, ,387 57,455 3,615, % 18.79% 1.59% % 22,957,907 7,909, ,624 31,227, % 25.33% 1.15% % 292,499, ,627,901 28,314, ,441, % 26.15% 6.52% % χ 2 = 2, 010, % * 26.15% 6.52% 67.33% 26.29% 18.79% 25.33% * 14 4 *14 (2009) 13
16 6.2 5 PRICE ASK BID PRICE < = BID BID < PRICE < ASK PRICE = ASK PRICE > ASK ,666, ,687 14,602, % 3.30% 3.36% 44,778,979 2,307,713 3,041,510 50,128,202 PRICE < = BID 15.31% 2.03% 10.74% 11.54% 58,445,521 2,307,713 3,977,197 64,730, % 2.03% 14.05% 14.90% 15,862,298 3,440,951 1,953,988 21,257,237 BID < PRICE < ASK 5.42% 3.03% 6.90% 4.89% 97,029,797 38,383,626 10,251, ,664,907 PRICE = ASK 33.17% 33.78% 36.21% 33.53% 121,161,948 69,495,611 12,131, ,789,242 PRICE > ASK 41.42% 61.16% 42.85% 46.68% 234,054, ,320,188 24,337, ,711, % 97.97% 85.95% 85.10% 292,499, ,627,901 28,314, ,441, % % % % χ 2 = 25, 920, % * * 19.98% 80.02% 2.03% 97.97% 17.95% MSP BID
17 14.05% 85.95% ,567,438 23,066,282 11,293, ,927, % 20.30% 39.89% 35.89% 62,450,145 53,784,799 10,466, ,701, % 47.33% 36.96% 29.16% 22,203,885 2,964, ,600 25,798, % 2.61% 2.23% 5.94% 86,278,096 33,812,818 5,923, ,014, % 29.76% 20.92% 29.01% 292,499, ,627,901 28,314, ,441, % % % % χ 2 = 34, 827, % * * 41.56% 20.30% % 47.33% % 2.61% 4.98% 15
18 % 29.76% * 15 MSP SEC SEC 3 *15 (2008) 16
19 1. allowing relatively unrestricted short selling in an advancing market 2. preventing short selling at successively lower prices, thus eliminating short selling as a tool for driving the market down 3. preventing short sellers from accelerating a declining market by exhausting all remaining bids at one price level, causing successively lower prices to be established by long sellers MSP 1 1 MSP ASK BID MSP MSP * 16 2 MSP BID BID MSP BID BID MSP BID *16 MSP BID ASK quote BID 17
20 5 5 売り価格買い MSP の位置空売りの執行に関する制約実売りとの比較 : : MSP > ASK 空売りはASKで執行できない 制約あり 103 ASK 102 MSP = ASK 空売りはASKで執行可能 制約あり BID < MSP < ASK 空売りはASKで執行可能だが BIDで執行できない 制約あり BID MSP = BID 空売りはBIDで執行可能 制約なし 97 : MSP < BID 空売りはBIDで執行可能 制約なし : * BID MSP BID MSP BID MSP BID BID ASK 18
21 103 BID 99 BID 99 1 BID MSP BID MSP 6 ( 時点 0) 初期状態 ( 時点 1) 約定の発生 ( 時点 2) 板状況の変化 売り価格買い売り価格買い売り価格買い : : : ASK 103 ASK 103 ASK BID 100 MSP 100 MSP BID 99 BID : : : イベント約定の発生 (@99) 板状況の変化 (BID が上方向に移動 ) 最良売り気配 (ASK) ( 変化なし ) 最良買い気配 (BID) ( 上方向に移動 ) 空売り可能な最低価格 (MSP) ( 変化なし ) ティック情報 ( ティック ステータス ) ダウンティックダウンティック ビッド情報 ( 板状況 = MSP の相対的な位置 ) 板が中立の状況 (BID < MSP < ASK) 板が上向きの状況 (MSP < BID) * MSP ASK BID MSP BID MSP ASK MSP BID ASK MSP BID BID
22 7 = MSP MSP < = BID BID < MSP < ASK MSP > = ASK A 1 8,389,117 2,777,740 40,946,252 52,113,109 PRICE < = BID 31.23% 10.98% 19.09% 19.54% 18,469,175 22,530, ,550, ,550,001 PRICE > BID 68.77% 89.02% 80.91% 80.46% 26,858,292 25,308, ,496, ,663, % % % % A 2 2,179,864 2,179,864 PRICE < = BID 17.70% 2.08% 10,136,370 12,425,263 80,297, ,859,412 PRICE > BID 82.30% % % 97.92% 12,316,234 12,425,263 80,297, ,039, % % % % B 1 149, , , ,228 PRICE < = BID 39.13% 19.09% 24.14% 24.36% 233, ,938 1,124,116 2,177,319 PRICE > BID 60.87% 80.91% 75.86% 75.64% 383,222 1,013,404 1,481,921 2,878, % % % % B 2 8,434 8,434 PRICE < = BID 9.84% 1.24% 77, , , ,953 PRICE > BID 90.16% % % 98.76% 85, , , , % % % % C 1 1,287,883 1,784,592 2,558,709 5,631,184 PRICE < = BID 36.19% 20.77% 23.68% 24.53% 2,270,706 6,808,582 8,247,435 17,326,723 PRICE > BID 63.81% 79.23% 76.32% 75.47% 3,558,589 8,593,174 10,806,144 22,957, % % % % C 2 119, ,415 PRICE < = BID 10.43% 1.51% 1,025,156 3,453,663 3,311,004 7,789,823 PRICE > BID 89.57% % % 98.49% 1,144,571 3,453,663 3,311,004 7,909, % % % % D 1 9,826,957 4,755,798 43,862,766 58,445,521 PRICE < = BID 31.91% 13.62% 19.34% 19.98% 20,973,146 30,159, ,921, ,054,043 PRICE > BID 68.09% 86.38% 80.66% 80.02% 30,800,103 34,915, ,784, ,499, % % % % D 2 2,307,713 2,307,713 PRICE < = BID 17.04% 2.03% 11,238,834 16,198,051 83,883, ,320,188 PRICE > BID 82.96% % % 97.97% 13,546,547 16,198,051 83,883, ,627, % % % % * * PRICE < = BID BID < MSP < ASK PRICE = ASK PRICE > ASK * 20
23 7 板が上向きの状況 ビッド情報 ( 板状況 = MSP の最良気配に対する相対的な位置 ) 板が中立の状況 板が下向きの状況 MSP < BID MSP = BID BID < MSP < ASK MSP = ASK MSP > ASK ティック情報 ( ティック ステータス ) 直近価格が上昇している状況 直近価格が下落している状況 ダウンティックゼロ マイナス ティックゼロ プラス ティックアップティック 売り 価格 買い 売り 価格 買い 売り 価格 買い 売り 価格 買い 売り 価格 買い : : : : : ASK ASK BID 102 ASK MSP 101 MSP 101 BID MSP 101 MSP = ASK 101 MSP BID 100 ASK BID BID : : : : : 売り 価格 買い 売り 価格 買い 売り 価格 買い 売り 価格 買い 売り 価格 買い : : : : : ASK ASK BID 101 ASK MSP 100 MSP 100 BID MSP 100 MSP = ASK 100 MSP BID 99 ASK BID BID : : : : : 売り 価格 買い 売り 価格 買い 売り 価格 買い 売り 価格 買い 売り 価格 買い : : : : : ASK ASK BID 102 ASK MSP 101 MSP 101 BID MSP 101 MSP = ASK 101 MSP BID 100 ASK BID BID : : : : : 売り 価格 買い 売り 価格 買い 売り 価格 買い 売り 価格 買い 売り 価格 買い : : : : : ASK ASK BID 101 ASK MSP 100 MSP 100 BID MSP 100 MSP = ASK 100 MSP BID 99 ASK BID BID : : : : : * MSP ASK BID * BID 31.23% A % A % B % B % C % C % D % D 2 BID 7.2 BID 21
24 2 1 BID arrowhead BID BID BID MSP BID 1 BID BID % 31.23% 17.70% 29.29% 39.13% 9.84% 25.76% 36.19% 10.43% BID 22
25 BID * % 100% 8.1 *17 23
26 BID 8 3 Time to First Fill = * * , ,600 = * * 24
27 8 板が上向きの状況 (MSP BID) 価格 板が中立の状況 (BID < MSP < ASK) 価格 板が下向きの状況 (MSP ASK) 価格 実売り取消率 : 低 実売り取消率 : 低 実売り取消率 : 低 空売り取消率 : 高 ASK MSP BID 空売り取消率 : 高 ASK MSP BID 空売り取消率 : 高 MSP ASK BID 買い 買い 買い * * * BID MSP = * *
28 * ASK *18 26
29 Time to First Fill * 19 A B C D 1 Time to First Fill Time to Completion A 34.89% 58.47% 31.22% 52.04% 25.24% 47.65% B C *19 Alexander and Peterson (1999) Lo, MacKinlay and Zhang (2002) survival analysis
30 8 Time to First Fill = MSP MSP < = BID BID < MSP < ASK MSP > = ASK A *** 0.00 *** *** 5.05 *** 0.27 *** 5.30 *** 0.00 *** *** *** *** B *** 0.00 *** 0.00 *** *** *** *** 0.00 *** *** *** *** C *** 0.00 *** *** *** *** *** 0.00 *** *** *** *** D *** 0.00 *** *** *** 0.93 *** 7.10 *** 0.00 *** *** *** *** * Time to First Fill * * *** ** * 1% 5% 10% D 2 28
31 9 Time to Completion = MSP MSP < = BID BID < MSP < ASK MSP > = ASK A *** 0.00 *** *** 6.82 *** 2.36 *** 6.86 *** 0.00 *** *** *** *** B *** 0.00 *** 0.00 *** *** *** *** 0.00 *** *** *** *** C *** 0.00 *** *** *** *** *** 0.00 *** *** *** *** D *** 0.00 *** *** *** 3.15 *** 8.84 *** 0.00 *** *** *** *** * Time to Completion * * *** ** * 1% 5% 10% A 29
32 10 = MSP MSP < = BID BID < MSP < ASK MSP > = ASK A 2.62% 0.99% 1.44% 1.61% 34.89% 31.22% 25.24% 26.70% 24.81% 27.90% 20.70% 21.80% 2.53% 2.53% 58.47% 52.04% 47.65% 49.25% 48.57% 52.04% 47.65% 48.28% 0.09% *** -0.92% *** % *** % *** % *** % *** % *** % *** % *** % *** B 1.18% 0.81% 0.76% 0.87% 19.94% 21.81% 15.01% 18.10% 12.60% 17.80% 11.57% 13.90% 7.54% 7.54% 69.89% 71.65% 59.29% 66.39% 63.76% 71.65% 59.29% 65.66% -6.36% *** -6.67% *** % *** % *** % *** % *** % *** % *** % *** % *** C 1.84% 0.99% 1.48% 1.40% 23.44% 25.87% 18.82% 22.20% 15.62% 20.70% 14.71% 17.10% 5.73% 5.73% 35.95% 36.78% 29.63% 33.63% 32.80% 36.78% 29.63% 33.21% -3.89% *** -4.33% *** % *** % *** % *** % *** % *** % *** % *** % *** D 2.50% 0.98% 1.44% 1.58% 33.48% 29.75% 24.89% 26.29% 23.60% 25.84% 20.35% 21.35% 2.71% 2.71% 56.49% 49.17% 46.98% 48.26% 47.33% 49.17% 46.98% 47.33% -0.21% *** -1.13% *** % *** % *** % *** % *** % *** % *** % *** % *** * * * z *** ** * 1% 5% 10% 17.94% 12.98% 24.11% 19.79% 30.34% 20.99% B C D 3 30
33 11 = MSP MSP < = BID BID < MSP < ASK MSP > = ASK A 99.87% 99.70% 99.62% 99.66% 17.94% 24.11% 30.34% 28.62% 43.53% 32.41% 43.56% 42.50% 99.07% 99.07% 12.98% 19.79% 20.99% 20.06% 28.22% 19.79% 20.99% 21.70% 0.80% *** 0.59% *** 4.97% *** 4.33% *** 9.35% *** 8.56% *** 15.32% *** 12.62% *** 22.57% *** 20.81% *** B 99.84% 99.79% 99.56% 99.68% 18.62% 23.11% 30.06% 26.21% 50.40% 37.75% 46.84% 44.11% 99.76% 99.76% 3.87% 5.46% 10.13% 7.19% 13.30% 5.46% 10.13% 8.34% 0.08% * -0.08% 14.76% *** 17.64% *** 19.93% *** 19.03% *** 37.11% *** 32.28% *** 36.71% *** 35.77% *** C 99.83% 99.72% 99.62% 99.70% 27.83% 28.90% 35.07% 31.70% 53.89% 43.61% 50.35% 48.38% 99.71% 99.71% 6.51% 9.39% 11.61% 9.96% 16.24% 9.39% 11.61% 11.31% 0.12% *** 0.01% 21.32% *** 19.51% *** 23.46% *** 21.74% *** 37.65% *** 34.21% *** 38.74% *** 37.06% *** D 99.86% 99.71% 99.62% 99.67% 19.02% 25.17% 30.55% 28.82% 44.81% 35.32% 43.91% 42.98% 99.11% 99.11% 12.33% 17.29% 20.58% 19.27% 27.11% 17.29% 20.58% 20.89% 0.76% *** 0.56% *** 6.70% *** 7.88% *** 9.96% *** 9.55% *** 17.71% *** 18.03% *** 23.32% *** 22.08% *** * * * z *** ** * 1% 5% 10%
34 12 = MSP MSP < = BID BID < MSP < ASK MSP > = ASK A 91.84% 96.53% 96.43% 95.70% 17.58% 22.79% 29.62% 27.87% 40.78% 30.89% 42.38% 41.13% 95.14% 95.14% 12.70% 18.60% 20.58% 19.56% 27.29% 18.60% 20.58% 21.13% -3.31% *** 0.55% *** 4.88% *** 4.20% *** 9.05% *** 8.31% *** 13.48% *** 12.29% *** 21.80% *** 20.00% *** B 96.80% 97.42% 97.85% 97.50% 17.86% 22.01% 28.84% 25.09% 48.75% 36.40% 45.50% 42.73% 91.42% 91.42% 3.41% 4.71% 9.44% 6.50% 12.06% 4.71% 9.44% 7.55% 5.38% *** 6.09% *** 14.46% *** 17.29% *** 19.39% *** 18.59% *** 36.69% *** 31.69% *** 36.06% *** 35.18% *** C 95.20% 97.33% 96.01% 96.24% 26.66% 27.38% 33.73% 30.31% 51.46% 41.91% 48.48% 46.48% 89.53% 89.53% 5.93% 8.37% 11.00% 9.17% 14.65% 8.37% 11.00% 10.38% 5.67% *** 6.71% *** 20.73% *** 19.01% *** 22.73% *** 21.14% *** 36.81% *** 33.53% *** 37.48% *** 36.10% *** D 92.35% 96.87% 96.42% 95.77% 18.57% 23.81% 29.80% 28.02% 42.11% 33.76% 42.69% 41.56% 94.84% 94.84% 12.02% 16.14% 20.16% 18.75% 26.13% 16.14% 20.16% 20.30% -2.49% *** 0.93% *** 6.55% *** 7.67% *** 9.64% *** 9.27% *** 15.98% *** 17.62% *** 22.53% *** 21.26% *** * * * z *** ** * 1% 5% 10%
35 BID ASK BID ASK BID ASK 9 板が上向きの状況 (MSP BID) 板が中立の状況 (BID < MSP < ASK) 板が下向きの状況 (MSP ASK) 買い 実売り 空売り 買い 実売り 空売り 買い 実売り 空売り 東証一部市場 東証二部市場 東証マザーズ市場 買い 平均値 1.49 中央値 1.00 標準偏差 2.14 実売り 平均値 2.40 中央値 1.00 標準偏差 4.34 空売り 平均値 1.50 中央値 1.00 標準偏差 買い 0.40 実売り 0.35 空売り 買い 平均値 4.57 中央値 2.00 標準偏差 7.51 実売り 平均値 4.98 中央値 3.00 標準偏差 7.06 空売り 平均値 3.63 中央値 2.00 標準偏差 買い 0.40 実売り 0.35 空売り 買い 平均値 2.65 中央値 2.00 標準偏差 3.97 買い 平均値 1.89 中央値 1.00 標準偏差 3.25 実売り 平均値 2.88 中央値 2.00 標準偏差 4.57 実売り 平均値 1.82 中央値 1.00 標準偏差 3.18 空売り 平均値 1.94 中央値 1.00 標準偏差 2.23 空売り 平均値 1.40 中央値 1.00 標準偏差 買い実売り空売り 買い実売り空売り 買い 平均値 7.08 中央値 4.00 標準偏差 8.70 買い 平均値 2.78 中央値 1.00 標準偏差 4.58 実売り 平均値 6.32 中央値 4.00 標準偏差 8.37 実売り 平均値 3.02 中央値 1.00 標準偏差 5.72 空売り 平均値 4.63 中央値 3.00 標準偏差 5.32 空売り 平均値 1.86 中央値 1.00 標準偏差 買い 0.30 実売り 0.25 空売り 買い 0.50 実売り空売り 買い 平均値 6.62 中央値 3.00 標準偏差 実売り 平均値 8.00 中央値 4.00 標準偏差 空売り 平均値 3.48 中央値 2.00 標準偏差 5.05 買い平均値 8.39 中央値 5.00 標準偏差 実売り平均値 8.63 中央値 5.00 標準偏差 空売り平均値 3.90 中央値 2.00 標準偏差 買い 平均値 5.45 中央値 3.00 標準偏差 実売り 平均値 6.03 中央値 3.00 標準偏差 空売り 平均値 2.51 中央値 1.00 標準偏差 4.59 * * * BID ASK BID ASK * % 33
36 8 * % 7 *
37 10 空売りメイク注文 ( スピード重視型 ) 空売りメイク注文 ( スピード重視型とプライス重視型の合成 ) 空売りメイク注文 ( プライス重視型 ) = 実売りメイク注文 MSP ASK 価格 BID * * * 8 11 実売り 空売りの別 発注時点の板状況投資家の執行方針投資家の発注形態 実売り % 板が上向きの状況 (MSP BID) 10.53% 注文執行時間重視 3.36% #1 テイク注文 3.36% #2 メイク注文 ( スピード重視型 ) 0.00% 注文執行価格重視 7.17% #3 メイク注文 ( プライス重視型 ) 7.17% 板が中立の状況 (BID < MSP < ASK) 11.94% 注文執行時間重視 1.63% 注文執行価格重視 10.31% #4 #5 #6 テイク注文 1.63% メイク注文 ( スピード重視型 ) 0.00% メイク注文 ( プライス重視型 ) 10.31% 板状況を問わず 価格規制による制約が課されていないため 投資家の執行方針が注文執行時間重視であれば テイク注文として発注することができる そのため メイク注文 ( スピード重視型 ) は考慮せず 実売りメイク注文は メイク注文 ( プライス重視型 ) のみで構成されることとなる 板が下向きの状況 (MSP ASK) 77.53% 注文執行時間重視 15.00% #7 テイク注文 15.00% #8 メイク注文 ( スピード重視型 ) 0.00% 注文執行価格重視 62.54% #9 メイク注文 ( プライス重視型 ) 62.54% * 100% 7 * 35
38 12 実売り 空売り 発注時点の板状況投資家の執行方針投資家の発注形態 空売り % 板が上向きの状況 (MSP BID) 11.92% 注文執行時間重視 3.80% 注文執行価格重視 8.12% #1 #2 #3 テイク注文 2.03% メイク注文 ( スピード重視型 ) 1.77% メイク注文 ( プライス重視型 ) 8.12% 板が上向きの状況においては 価格規制による制約は課せられていないため 投資家の執行方針が注文執行時間重視であれば テイク注文として発注することができる しかしながら 板状況が変化するリスクを回避するため その一部はメイク注文 ( スピード重視型 ) として発注されており これが価格規制による過剰な制約部分に相当する 板が中立の状況 (BID < MSP < ASK) 14.25% 注文執行時間重視 1.94% 注文執行価格重視 12.31% #4 #5 #6 テイク注文 0.00% メイク注文 ( スピード重視型 ) 1.94% メイク注文 ( プライス重視型 ) 12.31% 板が中立の状況又は板が下向きの状況においては 価格規制による制約が課されているため 投資家の執行方針が注文執行時間重視であってもテイク注文として発注できない その代替として メイク注文 ( スピード重視型 ) が利用されることとなるが この影響によって 空売りメイク注文の発注価格帯は 価格が低い方向に偏ることとなる 板が下向きの状況 (MSP ASK) 73.82% 注文執行時間重視 14.28% #7 テイク注文 0.00% #8 メイク注文 ( スピード重視型 ) 14.28% 注文執行価格重視 59.55% #9 メイク注文 ( プライス重視型 ) 59.55% * 100% 7 * * 11 * #1 #4 #7 11 #2 #5 #8 11 #3 #6 # #4 #7 12 #5 #8 36
39 12 # # # BID
40 13 0 0% 100% * 8.1 * BID BID 31.91% BID 17.04% 38
41 1 2 * 21 *21 Ferri, Christophe and Angel (2004) SEC (2007) 39
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Vol.57 No.4 March 2008 : () 1 () () (1 ) (2 ) ( ) 1 Takagi (1989)Hamao (1992) (1998)
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